Hi Rodneyj,
I would like to confirm that what plan of Office 365 you are using right now, Office 365 home premium or Office 365 Small Business Premium.
If you are using Office 365 home premium, please click on the link below to post a thread over there to get professional support.
http://support.microsoft.com/ask-community/office/office-365-home-premium/
If you are using Office 365 Small Business Premium, please follow the steps below to meet your requirement.
1. Log in to the OWA through http://mail.office365.com/ with the user account.
2. Click Options > Create an inbox rule… > New… to create an inbox rule.
Thanks,
Yang Yu